Personalized goal-based investing via multi-stage stochastic goal programming

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dc.contributor.authorKim, Woo Changko
dc.contributor.authorKwon, Do-Gyunko
dc.contributor.authorLee, Yongjaeko
dc.contributor.authorKim, Jang Hoko
dc.contributor.authorLin, Changleko
dc.date.accessioned2020-05-14T07:20:08Z-
dc.date.available2020-05-14T07:20:08Z-
dc.date.created2019-11-18-
dc.date.issued2020-03-
dc.identifier.citationQUANTITATIVE FINANCE, v.20, no.3, pp.515 - 526-
dc.identifier.issn1469-7688-
dc.identifier.urihttp://hdl.handle.net/10203/274190-
dc.description.abstractIn this paper, we propose a goal-based investment model that is suitable for personalized wealth management. The model only requires a few intuitive inputs such as size of wealth, investment amount, and consumption goals from individual investors. In particular, a priority level can be assigned to each consumption goal and the model provides a holistic solution based on a sequential approach starting with the highest priority. This allows strict prioritization by maximizing the probability of achieving higher priority goals that are not affected by goals with lower priorities. Furthermore, the proposed model is formulated as a linear program that efficiently finds the optimal financial plan. With its simplicity, flexibility, and computational efficiency, the proposed goal-based investment model provides a new framework for automated investment management services.-
dc.languageEnglish-
dc.publisherROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD-
dc.titlePersonalized goal-based investing via multi-stage stochastic goal programming-
dc.typeArticle-
dc.identifier.wosid000493618600001-
dc.identifier.scopusid2-s2.0-85075017913-
dc.type.rimsART-
dc.citation.volume20-
dc.citation.issue3-
dc.citation.beginningpage515-
dc.citation.endingpage526-
dc.citation.publicationnameQUANTITATIVE FINANCE-
dc.identifier.doi10.1080/14697688.2019.1662079-
dc.contributor.localauthorKim, Woo Chang-
dc.contributor.nonIdAuthorLee, Yongjae-
dc.contributor.nonIdAuthorKim, Jang Ho-
dc.contributor.nonIdAuthorLin, Changle-
dc.description.isOpenAccessN-
dc.type.journalArticleArticle-
dc.subject.keywordAuthorGoal-based Investing-
dc.subject.keywordAuthorGoal Programming-
dc.subject.keywordAuthorMulti-stage Stochastic Programming-
dc.subject.keywordAuthorAutomated Investment Management-
dc.subject.keywordAuthorRobo-advisor-
dc.subject.keywordAuthorFinancial Technology (FinTech)-
dc.subject.keywordAuthorRetirement planning-
dc.subject.keywordAuthorDefined contribution pension plan-
dc.subject.keywordPlusASSET-LIABILITY MANAGEMENT-
dc.subject.keywordPlusPORTFOLIO OPTIMIZATION-
dc.subject.keywordPlusGENERATION-
dc.subject.keywordPlusMODEL-
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